Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0619
Annualized Std Dev 0.2289
Annualized Sharpe (Rf=0%) 0.2707

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1474
Quartile 1 -0.0050
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0064
Maximum 0.1084
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0144
Skewness -0.6539
Kurtosis 11.5805

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0103
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6440
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0362
Modified VaR (95%) -0.0226
Modified ES (95%) -0.0485
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-02-01 -0.6440 1427 444 983
2020-01-17 2020-03-23 2021-02-24 -0.4694 278 45 233
2018-08-30 2018-12-24 2019-11-08 -0.2005 301 80 221
2015-03-23 2016-01-20 2016-04-19 -0.1581 272 210 62
2018-01-29 2018-02-08 2018-07-19 -0.0916 120 9 111

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.7 0 0.1 -0.3 -0.6 -0.1 -0.3 -0.6
2007 0.7 -0.2 0.2 0.4 0.5 -0.4 0.8 1.2 1.3 -2.3 1.2 -0.1 3.2
2008 1.8 -2.7 4.1 2.2 -0.2 -0.2 -0.1 -0.2 0 2.8 -9.4 3 0.4
2009 -3.8 -1.4 1.6 -0.4 4.1 1.3 0.6 -3.3 -3.2 -3 1.5 -1 -7.3
2010 0.8 1.2 0.5 -1.7 -2.5 -0.1 -0.2 3.2 0.3 -0.1 1.6 -0.6 2.3
2011 1.3 -1.8 0.6 0 -2.3 1.4 -0.6 -1.3 -2 -3.4 -0.5 -0.4 -8.8
2012 1.6 0.5 0.4 0.7 -2.4 2.3 -0.3 0.4 -0.4 1.4 0.5 1.7 6.4
2013 0.5 0.2 -0.7 -1.1 -1 0.7 1.6 -0.8 1 0.3 -0.2 0.3 0.7
2014 -0.1 0.4 0.6 0.1 0.2 0.3 -0.1 0.4 -1.1 1 -0.8 -1.1 -0.1
2015 -1.1 -0.1 -0.2 0.8 0.1 0.6 0.5 -2.7 -0.1 0.1 0.9 -0.6 -1.9
2016 -0.1 1.6 0.1 -0.3 0.2 0.2 -0.5 -0.1 0.4 -1.1 -0.4 -0.3 0
2017 -0.5 1 0.1 -0.1 1.1 0.3 0.3 0.6 0.2 0 -0.3 -0.4 2.5
2018 -0.3 -0.4 1.2 0 0.6 -0.1 -0.9 0.1 -0.4 1.6 0.6 0.9 2.8
2019 0.2 0.7 1.2 -0.9 -0.9 0.2 -1.5 0.4 -1.5 1.2 -0.7 0.3 -1.4
2020 -1.6 -2 -5.8 -3.7 1.4 -0.8 -0.5 0.3 0.5 -0.1 1.2 0.4 -10.4
2021 1.8 2.6 -0.1 NA NA NA NA NA NA NA NA NA 4.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  16.7 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  16.6 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  16.6 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  16.7 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  16.6 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-23  16.7 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart